Michael,
By definition, a proxy should act on behalf of all other clients in retrieving and relaying requests. The idea behind using this and a firewall is to isolate your client PCs (workstations) from being exposed to the internet. Having public IPs on your individual workstations is great if you wish to run services that's visible to the rest of the world but highly unnecessary if all you want is access to the internet (not to mention the security risk !). But I digress.....
If you want to use the ESSG as a firewall, just add a second NIC into the ESSG box, configure the second NIC with a static and private IP address (ie. 192.168.0.1) and configure the ESSG to act as a DHCP server for your home network. Configure the other PCs as DHCP clients and hook them up to the ESSG and not the cable modem. This means, don't connect the cable modem to the hub ! Connect the cable modem to the External NIC of the ESSG instead. This means that only the ESSG will get an IP address from the cable modem (ISP) and all other PCs will get a private address (NOT a public IP address) from the ESSG. Run through the configuration screens of ESSG slowly and you should be able to see which pages you need to configure.
Good luck !
Kelvin